An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models

DOI10.2307/1913081zbMath0318.62086OpenAlexW2082775360MaRDI QIDQ4080628

Publication date: 1975

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ba5e7188013e83759c9c3898886ac5e009c1c8e6

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Trade models (91B60)

Related Items (16)

A useful transformation for the multinomial logit-model (a short note) ⋮ On the specification and estimation of large scale simultaneous structural macroeconometric models ⋮ Calibration of macroeconomic models with incomplete data—A systems approach ⋮ Full-information estimates of a nonlinear macroeconometric model ⋮ Simultaneous equations with covariance restrictions ⋮ Seasonality in dynamic regression models. A comparative study of finite sample properties of various regression estimators including band spectrum regression ⋮ Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances ⋮ Errors in variables in simultaneous equation models ⋮ Nonlinear models of analysis of variance ⋮ On the efficient estimation methods for the macro-economic models nonlinear in variables ⋮ Modified three-stage least squares estimator which is third-order efficient ⋮ FIML estimation of the dynamic simultaneous equations model with ARMA disturbances ⋮ Optimal instruments when the disturbances are small ⋮ Model Selection in a System of Simultaneous Equations Model ⋮ Estimating systems of equations with different instruments for different equations ⋮ A general approach to Lagrange multiplier model diagnostics

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